dc.contributor.advisor 张曙光 dc.contributor.author 张娇娇 dc.date.accessioned 2018-12-05T01:40:21Z dc.date.available 2018-12-05T01:40:21Z dc.date.issued 2017-12-27 dc.identifier.uri https://dspace.xmu.edu.cn/handle/2288/170039 dc.description.abstract 本文使用不同的方法研究了在随机利率模型和随机波动率模型下的衍生产品定价.使用reduced-form方法，本文得到了在分数维随机利率的模型下信用衍生产品的精确定价公式.对快速均值回复Ornstein-Unlenbeck(O-U)过程的随机波动率模型，本文采用Fouque等(2000)提出的扰动法得到了永久美式障碍期权的渐近公式.对波动率服从不同O-U过程的随机波动率模型，我们考虑Josep等(2008)提出的关于"波动率的波动率"的Fourier变换方法得到了多资产欧式期权的近似定价公式.最后，将新得到的永久美式障碍期权的渐近公式应用到银行挤兑决策. 对于带跳的分数维随机利率模型，本文讨... dc.description.abstract In this thesis,we apply different approaches for the stochastic interest rate model and the stochastic volatility model to price derivatives. Based on the reduced-form approach,the explicit pricing formula of credit derivatives is derived for the fractional stochastic interest rate model. For the fast mean-reversion Ornstein-Unlenbeck (O-U) stochastic volatility model,this thesis uses the perturba... dc.language.iso zh_CN dc.relation.uri https://catalog.xmu.edu.cn/opac/openlink.php?strText=58252&doctype=ALL&strSearchType=callno dc.source.uri https://etd.xmu.edu.cn/detail.asp?serial=59351 dc.subject 随机利率 dc.subject 随机波动率 dc.subject 信用衍生产品 dc.subject 永久美式障碍期权 dc.subject 多资产欧式期权 dc.subject 银行挤兑 dc.subject stochastic interest rate dc.subject stochastic volatility dc.subject credit derivatives dc.subject perpetual American barrier options dc.subject multi-asset European options dc.subject bank runs dc.title 随机波动率模型下信用衍生产品和期权定价及其应用 dc.title.alternative Credit Derivatives and Options Pricing under Stochastic Volatility Models with Its Applications dc.type thesis dc.date.replied 2016-12-09 dc.description.note 学位：理学博士 dc.description.note 院系专业：数学科学学院_概率论与数理统计 dc.description.note 学号：19020120153816
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